List of calculateSensitivity() Examples

Examples of calculateSensitivity()

com.opengamma.analytics.financial.provider.sensitivity.hullwhite.ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator.calculateSensitivity()
Compute the sensitivity by finite difference on all points. The curves must be interpolated yield curves. Only the discounting and forward curves sensitivity is computed. @param instrument The instrument. @param hullWhite The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve. @return The parameter sensitivity.

Examples of com.opengamma.analytics.financial.provider.sensitivity.hullwhite.ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator.calculateSensitivity()

    final double[] derivative_FD = new double[nbShift];
    final double[] diff = new double[nbShift];
    eps[0] = startingShift;
    for (int loopshift = 0; loopshift < nbShift; loopshift++) {
      final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
      final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
      derivative_FD[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
      diff[loopshift] = derivative_FD[loopshift] - derivativeExact;
      eps[loopshift + 1] = eps[loopshift] / ratio;
    }
    // 1Mx5Y

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Examples of com.opengamma.analytics.financial.provider.sensitivity.hullwhite.ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator.calculateSensitivity()

    final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
    final double[] derivative_FDExp = new double[nbShift];
    final double[] diffExp = new double[nbShift];
    for (int loopshift = 0; loopshift < nbShift; loopshift++) {
      final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
      final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES);
      derivative_FDExp[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
      diffExp[loopshift] = derivative_FDExp[loopshift] - derivativeExactExp;
    }
    //    int t = 0;
    //    t++;

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